Crypto Rolling Efficiency

Time series Plots

Window : 360

  • Delta H computed over rolling 360 days

  • Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 360

    • q70: 0.1276
    • q90: 0.17481
    • q95: 0.197805
    • q99: 0.241003

ADA

### LTC ### BNB ### BTC ### DOGE ### XRP ### TRX ### ETH

Window : 720

  • Delta H computed over rolling 720 days

  • Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 720

    • q70: 0.0987
    • q90: 0.1326
    • q95: 0.1478
    • q99: 0.176903

XRP

### BNB ### BTC ### DOGE ### ADA ### ETH ### TRX ### LTC

Window : 1080

  • Delta H computed over rolling 1080 days

  • Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 1080

    • q70: 0.0881
    • q90: 0.11901
    • q95: 0.1314
    • q99: 0.154401

BTC

### TRX ### ADA ### LTC ### ETH ### BNB ### XRP ### DOGE

Summary Tables

Window : 360

Ticker days_above_q70 days_above_q90 days_above_q95 days_above_q99 ticker_appearances prop_above_q70 prop_above_q90 prop_above_q95 prop_above_q99
ADA 1422 1165 1041 668 1648 0.8628641 0.7069175 0.6316748 0.4053398
BNB 1484 1308 1159 942 1648 0.9004854 0.7936893 0.7032767 0.5716019
BTC 1568 1410 1328 1153 1648 0.9514563 0.8555825 0.8058252 0.6996359
DOGE 1590 1534 1499 1427 1648 0.9648058 0.9308252 0.9095874 0.8658981
ETH 1459 1241 1092 751 1648 0.8853155 0.7530340 0.6626214 0.4557039
LTC 1517 1361 1262 1064 1648 0.9205097 0.8258495 0.7657767 0.6456311
TRX 1598 1537 1463 1258 1648 0.9696602 0.9326456 0.8877427 0.7633495
XRP 1597 1484 1386 1140 1648 0.9690534 0.9004854 0.8410194 0.6917476

Window : 720

Ticker days_above_q70 days_above_q90 days_above_q95 days_above_q99 ticker_appearances prop_above_q70 prop_above_q90 prop_above_q95 prop_above_q99
ADA 1037 781 678 367 1288 0.8051242 0.6063665 0.5263975 0.2849379
BNB 1167 977 882 706 1288 0.9060559 0.7585404 0.6847826 0.5481366
BTC 1288 1287 1268 1204 1288 1.0000000 0.9992236 0.9844720 0.9347826
DOGE 1262 1244 1236 1230 1288 0.9798137 0.9658385 0.9596273 0.9549689
ETH 1288 1269 1247 1169 1288 1.0000000 0.9852484 0.9681677 0.9076087
LTC 1286 1214 1187 1035 1288 0.9984472 0.9425466 0.9215839 0.8035714
TRX 1280 1233 1207 1153 1288 0.9937888 0.9572981 0.9371118 0.8951863
XRP 1282 1265 1253 1229 1288 0.9953416 0.9821429 0.9728261 0.9541925

Window : 1080

Ticker days_above_q70 days_above_q90 days_above_q95 days_above_q99 ticker_appearances prop_above_q70 prop_above_q90 prop_above_q95 prop_above_q99
ADA 884 746 660 429 928 0.9525862 0.8038793 0.7112069 0.4622845
BNB 674 518 448 355 928 0.7262931 0.5581897 0.4827586 0.3825431
BTC 928 928 923 905 928 1.0000000 1.0000000 0.9946121 0.9752155
DOGE 928 928 928 928 928 1.0000000 1.0000000 1.0000000 1.0000000
ETH 928 928 928 928 928 1.0000000 1.0000000 1.0000000 1.0000000
LTC 928 928 928 919 928 1.0000000 1.0000000 1.0000000 0.9903017
TRX 928 928 928 928 928 1.0000000 1.0000000 1.0000000 1.0000000
XRP 928 928 928 928 928 1.0000000 1.0000000 1.0000000 1.0000000